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Models of Financial Stability and Their Application in Stress Tests ✶ ✶The authors thank Tobias Adrian, Fabio Caccioli, Agostino Capponi, Darrell Duffie, Luca Enriques, Cars Hommes, Sujit Kapadia, Blake LeBaron, Alan D. Morrison, Paul Nahai-Williamson, James Paulin, Peyton Young, Garbrand Wiersema, an anonymous reviewer, and the participants of the Workshop for the Handbook of Computational Economics for their valuable comments and suggestions. The usual disclaimers apply.
16 references·0 citing·36 second hop
Models of Financial Stability and Their Application in Stress Tests ✶ ✶The authors thank Tobias Adrian, Fabio Caccioli, Agostino Capponi, Darrell Duffie, Luca Enriques, Cars Hommes, Sujit Kapadia, Blake LeBaron, Alan D. Morrison, Paul Nahai-Williamson, James Paulin, Peyton Young, Garbrand Wiersema, an anonymous reviewer, and the participants of the Workshop for the Handbook of Computational Economics for their valuable comments and suggestions. The usual disclaimers apply. (2018)Models of Financial Stability and Their A…Systemic Risk and Stability in Financial Networks (2015)Systemic Risk and Stability i…A Macroeconomic Model with a Financial Sector (2014)A Macroeconomic Model with a …Securitized banking and the run on repo (2011)Securitized banking and the r…Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …Liquidity and leverage (2008)Liquidity and leverageSystemic Risk in Financial Systems (2001)Systemic Risk in Financial Sy…Empirical properties of asset returns: stylized facts and statistical issues (2001)Empirical properties of asset…Financial Contagion (2000)Financial ContagionHeterogeneous beliefs and routes to chaos in a simple asset pricing model (1998)Heterogeneous beliefs and rou…Credit Cycles (1997)Credit CyclesA Rational Route to Randomness (1997)A Rational Route to RandomnessThe Limits of Arbitrage (1995)The Limits of ArbitrageLiquidation Values and Debt Capacity: A Market Equilibrium Approach (1992)Liquidation Values and Debt C…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Bank Runs, Deposit Insurance, and Liquidity (1983)Bank Runs, Deposit Insurance,…The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)The Market for "Lemons": Qual…Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Corporate financing and investment decisions when firms have information that investors do not have (1984)Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers (1986)The Benefits of Lending Relationships: Evidence from Small Business Data (1994)A Survey of Corporate Governance (1997)Market structure, information, futures markets, and price formation. (1984)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)The Behavior of Stock-Market Prices (1965)Fractional Brownian Motions, Fractional Noises and Applications (1968)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Heterogeneous Agent Models in Economics and Finance (2005)Copula Modeling: An Introduction for Practitioners (2007)Conditional Time Series Forecasting with Convolutional Neural Networks (2017)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)A model of investor sentiment / (1997)Investor Sentiment and the Cross‐Section of Stock Returns (2006)The theory of economic growth (1955)"The Economic Value of Education." (1964)Risk and insurance (1973)The Evolution of Cooperation (1981)The Resource-Based Theory of Competitive Advantage: Implications for Strategy Formulation (1991)Non-Monetary Effects of the Financial Crisis in the Propagation of the Great Depression (1983)Financial Intermediation and Delegated Monitoring (1984)Financial intermediation and growth: Causality and causes (2000)A Monetary History of the United States, 1867-1960 (2017)Credit Rationing in Markets with Imperfect Information (1981)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)The Cross‐Section of Volatility and Expected Returns (2006)CoVaR (2016)A Monetary History of the United States 1867-1960 (1964)Financial Intermediation, Loanable Funds, and The Real Sector (1997)
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References

  • 1970The Market for "Lemons": Quality Uncertainty and the Market Mechanism24,221 cited
  • 1983Bank Runs, Deposit Insurance, and Liquidity9,760 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1995The Limits of Arbitrage5,282 cited
  • 1997Credit Cycles5,254 cited
  • 2008Market Liquidity and Funding Liquidity5,147 cited
  • 2001Empirical properties of asset returns: stylized facts and statistical issues3,658 cited
  • 2000Financial Contagion3,419 cited
  • 1992Liquidation Values and Debt Capacity: A Market Equilibrium Approach2,901 cited
  • 2008Liquidity and leverage2,557 cited
  • 2015Systemic Risk and Stability in Financial Networks2,130 cited
  • 2014A Macroeconomic Model with a Financial Sector1,976 cited
  • 2011Securitized banking and the run on repo1,728 cited
  • 1997A Rational Route to Randomness1,724 cited
  • 1998Heterogeneous beliefs and routes to chaos in a simple asset pricing model1,697 cited
  • 2001Systemic Risk in Financial Systems1,364 cited

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